Major depressive disorder (MDD) is a multifactorial disease affected by several environmental factors. Although several potential onset hypotheses have been identified, the molecular mechanisms underlying the pathogenesis of this disorder remain unclear. Several recent studies have suggested that among many environmental factors, inflammation and immune abnormalities in the brain or the peripheral tissues are associated with the onset of MDDs. Furthermore, several stress-related hypotheses have been proposed to explain the onset of MDDs. Thus, inflammation or immune abnormalities can be considered stress responses that occur within the brain or other tissues and are regarded as one of the mechanisms underlying the stress hypothesis of MDDs. Therefore, we introduce several current advances in inflammation studies in the brain that might be related to the pathophysiology of MDD due to stress exposure in this review.